Are interest rate cashflows shown in the same position in the In-/Outflow-Template as the corresponding redemption cashflows? Are the weighting factors for interest rate cash flows the same as for redemption cashflows.
It is unclear wether all cashflows of an instrument are subject to the same weighting factor. Example: A retail loan of 10.000 EUR is due in 20 days. Interest payment is 1000 EUR. The redemption of 10.000 EUR is shown in position 1.1.1 (monies due from retail customers) of the Inflows template and weighted with 50%. Is the interest rate cashflow shown in the same position, or are they shown in another position, for example: 1.9 (other inflows)
Please note that templates C 72.00 to C 76.00 of Annex XXIV to Regulation (EU) No 680/2014 (ITS on Supervisory Reporting) and the related reporting instructions in Annex XXV to the ITS on Supervisory Reporting fully replaced templates C 51.00 to C 54.00 of Annex XII to the ITS on Supervisory Reporting and the related reporting instructions in Annex XIII for credit institution subject to the Regulation (EU) 2015/61.
Consequently, the answer provided below only applies to investment firms subject to liquidity reporting according to Articles 6(4), 11(3) and 415 of Regulation (EU) No 575/2013 as amended by Regulation (EU) 2019/876 (CRR2), unless otherwise specified.
On the inflows side, according to Annex XIII to the ITS on Supervisory Reporting, in accordance with Article 425(2) CRR, liquidity inflows shall:
- comprise only contractual inflows from exposures that are not past due and for which the institution has no reason to expect non-performance within the 30-day time horizon,
- be reported in full, unless otherwise specified.
Institutions shall generally report interest flows due within 30 days in the same category of the transactions they stem from, based on the same criteria.
In the example provided, interest flows shall be reported in row 010 (‘monies due from retail costumers’), column 010 of template C 53.00 of Annex XII to the ITS on Supervisory Reporting.
On the outflows side, according to Annex XIII of the ITS on Supervisory Reporting, institutions shall separately report in rows 1130 (ID 1.2.10, ‘all other liabilities’) of template C 52.00 other liabilities that do not fall under paragraphs 1 to 5 of Article 422 CRR or Article 421 CRR. As a consequence, outflows from interest payments should be generally reported there unless otherwise specified.